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Fundamentals and Speculation in the Thai Baht Crisis

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  • Goh, Daryl
  • Groenewold, Nicolaas
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    Abstract

    This paper uses a structural vector-autoregressive framework to assess the relative importance of fundamental and speculative components of the Thai Baht with particular emphasis on the dramatic collapse of the currency in 1997. Two alternative models were used for this purpose, loosely based on the "first-generation" and "second-generation" currency-crisis models. We show that the fall in the observed exchange rate is more than accounted for by fundamentals which is at odds with the view that the collapse of the Thai currency in 1997 was due to "pure" speculation but simply reflected a long period of poor fundamentals. Copyright @ 2000 by John Wiley & Sons, Ltd. All rights reserved.

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    Bibliographic Info

    Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

    Volume (Year): 5 (2000)
    Issue (Month): 4 (October)
    Pages: 297-308

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    Handle: RePEc:ijf:ijfiec:v:5:y:2000:i:4:p:297-308

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    Web page: http://www.interscience.wiley.com/jpages/1076-9307/

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    Cited by:
    1. Menkhoff, Lukas & Chodechai Suwanaporn, Chodechai, 2005. "On the Rationale of Bank Lending in Pre-Crisis Thailand," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-326, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    2. Andre Cartapanis, 2004. "Le declenchement des crises de change : qu'avons-nous appris depuis dix ans ?," Economie Internationale, CEPII research center, issue 97, pages 5-48.

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